Related papers: Single-Item Continuous-Review Inventory Models wit…
We propose a novel conditional diffusion model for contextual portfolio optimization that learns the cross-sectional distribution of next-day stock returns conditioned on high-dimensional asset-specific factors. Our model leverages a…
Order statistics theory is applied in this paper to probabilistic robust control theory to compute the minimum sample size needed to come up with a reliable estimate of an uncertain quantity under continuity assumption of the related…
We consider the problem of sequential evaluation, in which an evaluator observes candidates in a sequence and assigns scores to these candidates in an online, irrevocable fashion. Motivated by the psychology literature that has studied…
The drift diffusion model (DDM) is a model of sequential sampling with diffusion (Brownian) signals, where the decision maker accumulates evidence until the process hits a stopping boundary, and then stops and chooses the alternative that…
This paper studies a continuous-time portfolio selection problem under a general distribution of random risk aversion (RRA). We provide a complete characterization of all deterministic equilibrium strategies in closed form. Our results show…
We model the joint distribution of choice probabilities and decision times in binary choice tasks as the solution to a problem of optimal sequential sampling, where the agent is uncertain of the utility of each action and pays a constant…
We consider a network inventory system motivated by one-way, on-demand vehicle sharing services. Under uncertain and correlated network demand, the service operator periodically repositions vehicles to match a fixed supply with spatial…
We introduce a new class of adaptive policies called periodic-affine policies, that allows a decision maker to optimally manage and control large-scale newsvendor networks in the presence of uncertain demand without distributional…
We consider a discrete-time bipartite matching model with random arrivals of units of supply and demand that can wait in queues located at the nodes in the network. A control policy determines which are matched at each time. The focus is on…
We consider a decision maker who must choose an action in order to maximize a reward function that depends also on an unknown parameter {\Theta}. The decision maker can delay taking the action in order to experiment and gather additional…
Adopting a probabilistic approach we determine the optimal dividend payout policy of a firm whose surplus process follows a controlled arithmetic Brownian motion and whose cash-flows are discounted at a stochastic dynamic rate. Dividends…
In this article, we consider a continuous review (s, S) inventory system with failures of demand fulfillment (service) modeled as a Markov-modulated retrial queueing system. The inventory system features a single product that experiences…
Existing solutions for bundle recommendation (BR) have achieved remarkable effectiveness for predicting the user's preference for prebuilt bundles. However, bundle-item (B-I) affiliation will vary dynamically in real scenarios. For example,…
We present a theorem for verification of optimality of controlled diffusions under the average cost criterion with near-monotone running cost, without invoking any blanket stability assumptions. The implications of this result to the policy…
We introduce a novel strategy to address the issue of demand estimation in single-item single-period stochastic inventory optimisation problems. Our strategy analytically combines confidence interval analysis and inventory optimisation. We…
Inventory management problems with periodic and controllable resets occur in the context of managing water storage in the developing world and retailing limited-time availability products. In this paper, we consider a set of sequential…
This paper describes the structure of optimal policies for discounted periodic-review single-commodity total-cost inventory control problems with fixed ordering costs for finite and infinite horizons. There are known conditions in the…
Inventory decision frameworks proposed in the literature for single-echelon supply chain systems rely on assumptions to obtain closed form expressions. In particular, two such frameworks - one conventional and the other with a demand…
We present a heavy traffic analysis for a single server queue with renewal arrivals and generally distributed i.i.d. service times, in which the server employs the Shortest Remaining Processing Time (SRPT) policy. Under typical heavy…
In this thesis, we study the optimal tradeoff of average delay, average service cost, and average utility for single server queueing models, with and without admission control. The continuous time and discrete time queueing models that we…